Marcello Pericoli

Bank of Italy

Via Nazionale 91

00184 Roma

Italy

http://www.bancaditalia.it

SCHOLARLY PAPERS

19

DOWNLOADS
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CITATIONS
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Top 2,839

in Total Papers Citations

197

Scholarly Papers (19)

1.

Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test

Yale Economic Growth Center Discussion Paper No. 822
Number of pages: 38 Posted: 27 Jun 2001
Giancarlo Corsetti, Marcello Pericoli and Massimo Sbracia
European University Institute - Robert Schuman Centre for Advanced Studies (RSCAS), Bank of Italy and Bank of Italy
Downloads 785 (22,922)
Citation 11

Abstract:

Contagion, financial crisis, correlation analysis

2.

The CAPM and the Risk Appetite Index: Theoretical Differences, Empirical Similarities, and Implementation Problems

Number of pages: 26 Posted: 16 Apr 2009 Last Revised: 14 May 2009
Marcello Pericoli and Massimo Sbracia
Bank of Italy and Bank of Italy
Downloads 306 (66,325)
Citation 6

Abstract:

risk aversion, asset pricing, financial crisis

3.

The CAPM and the Risk Appetite Index: Theoretical Differences and Empirical Similarities

Bank of Italy Economic Research Paper No. 586
Number of pages: 36 Posted: 03 Mar 2005
Marcello Pericoli and Massimo Sbracia
Bank of Italy and Bank of Italy
Downloads 289 (83,354)
Citation 7

Abstract:

CAPM, risk aversion

Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion

Journal of International Money and Finance, Vol. 24, 2005
Number of pages: 23 Posted: 05 Sep 2008
Giancarlo Corsetti, Marcello Pericoli and Massimo Sbracia
European University Institute - Robert Schuman Centre for Advanced Studies (RSCAS), Bank of Italy and Bank of Italy
Downloads 230 (111,500)
Citation 61

Abstract:

Contagion; Financial crisis; Factor model; Correlation analysis

Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion

CEPR Discussion Paper No. 3310
Number of pages: 32 Posted: 09 May 2002
Giancarlo Corsetti, Marcello Pericoli and Massimo Sbracia
European University Institute - Robert Schuman Centre for Advanced Studies (RSCAS), Bank of Italy and Bank of Italy
Downloads 36 (387,390)
Citation 65
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Abstract:

Contagion, financial crisis, factor model, correlation analysis

Bond Risk Premia, Macroeconomic Fundamentals and the Exchange Rate

Bank of Italy Temi di Discussione (Working Paper) No. 699
Number of pages: 51 Posted: 11 Mar 2009
Marcello Pericoli and Marco Taboga
Bank of Italy and Bank of Italy
Downloads 116 (204,067)

Abstract:

exchange rate, term structure, UIP

Bond Risk Premia, Macroeconomic Fundamentals and the Exchange Rate

Number of pages: 45 Posted: 19 Feb 2009
Marcello Pericoli and Marco Taboga
Bank of Italy and Bank of Italy
Downloads 87 (249,505)

Abstract:

bond risk premium, exchamge rate, affine model

6.

'Pure' or 'Wake-Up-Call' Contagion? Another Look at the EMU Sovereign Debt Crisis

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 26 Posted: 30 Aug 2012
Raffaela Giordano, Marcello Pericoli and Pietro Tommasino
Bank of Italy, Bank of Italy and Bank of Italy
Downloads 198 (118,005)
Citation 1

Abstract:

contagion. EMU debt crisis, panel cointegration

7.

Canonical Term-Structure Models with Observable Factors and the Dynamics of Bond Risk Premiums

Bank of Italy Economic Research Paper No. 580
Number of pages: 45 Posted: 10 Apr 2006
Marcello Pericoli and Marco Taboga
Bank of Italy and Bank of Italy
Downloads 110 (205,943)
Citation 28

Abstract:

term structure models, yield curve, risk premium

8.

Expected Inflation and Inflation Risk Premium in the Euro Area and in the United States

Bank of Italy Temi di Discussione (Working Paper) No. 842
Number of pages: 42 Posted: 29 Feb 2012
Marcello Pericoli
Bank of Italy
Downloads 71 (258,810)
Citation 1

Abstract:

real and nominal term structure, inflation risk premium, affine term structure, Kalman filter

9.

Canonical Term-Structure Models with Observable Factors and the Dynamics of Bond Risk Premia

Journal of Money, Credit, and Banking, 2008
Number of pages: 34 Posted: 05 Sep 2008
Marcello Pericoli and Marco Taboga
Bank of Italy and Bank of Italy
Downloads 64 (264,626)
Citation 24

Abstract:

term structure models, yield curve, risk premium

10.

Real Term Structure and Inflation Compensation in the Euro Area

Bank of Italy Temi di Discussione (Working Paper) No. 841
Number of pages: 50 Posted: 29 Feb 2012
Marcello Pericoli
Bank of Italy
Downloads 37 (336,105)
Citation 2

Abstract:

index-linked bond, real term structure, inflation compensation, inflation risk premium, smoothing spline

11.

Pure or Wake-Up-Call Contagion? Another Look at the EMU Sovereign Debt Crisis

Bank of Italy Temi di Discussione (Working Paper) No. 904
Number of pages: 40 Posted: 03 May 2013
Raffaela Giordano, Marcello Pericoli and Pietro Tommasino
Bank of Italy, Bank of Italy and Bank of Italy
Downloads 36 (368,230)
Citation 1

Abstract:

sovereign bond spread, contagion, non-stationary panels

12.
Downloads 32 (375,293)

Abstract:

13.

Macroeconomic and Monetary Policy Surprises and the Term Structure of Interest Rates

Bank of Italy Temi di Discussione (Working Paper) No. 927
Number of pages: 53 Posted: 23 Nov 2013
Marcello Pericoli
Bank of Italy
Downloads 31 (364,674)

Abstract:

inflation risk premium, affine term structure, Kalman filter, macroeconomic and monetary surprises

14.

A Primer on Financial Contagion

Journal of Economic Surveys, Vol. 17, pp. 571-608, September 2003
Number of pages: 38 Posted: 25 Sep 2003
Marcello Pericoli and Massimo Sbracia
Bank of Italy and Bank of Italy
Downloads 29 (407,059)
Citation 51
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Abstract:

15.

Surprises in the Term Structure

Number of pages: 37 Posted: 30 Aug 2012
Marcello Pericoli
Bank of Italy
Downloads 28 (382,739)

Abstract:

inflation risk premium, affine term structure, Kalman filter, macroeconomic and monetary surprises

16.

Monetary Policy Surprises Over Time

Bank of Italy Temi di Discussione (Working Paper) No. 1102
Number of pages: 55 Posted: 05 Apr 2017
Marcello Pericoli and Giovanni Veronese
Bank of Italy and Bank of Italy
Downloads 0 (254,931)

Abstract:

monetary policy surprises, unconventional monetary policy

17.

Understanding Policy Rates at the Zero Lower Bound: Insights from a Bayesian Shadow Rate Model

Bank of Italy Temi di Discussione (Working Paper) No 1023
Number of pages: 41 Posted: 20 Jan 2016
Marcello Pericoli and Marco Taboga
Bank of Italy and Bank of Italy
Downloads 0 (345,100)

Abstract:

zero lower bound, shadow rate term structure model

18.

Decomposing Euro Area Sovereign Spreads: Credit, Liquidity and Convenience

Bank of Italy Temi di Discussione (Working Paper) No. 1021
Number of pages: 52 Posted: 08 Nov 2015
Marcello Pericoli and Marco Taboga
Bank of Italy and Bank of Italy
Downloads 0 (375,293)

Abstract:

sovereign spreads, liquidity premia, convenience yields

19.

Forecaster Heterogeneity, Surprises and Financial Markets

Bank of Italy Temi di Discussione (Working Paper) No. 1020
Number of pages: 44 Posted: 08 Nov 2015
Marcello Pericoli and Giovanni Veronese
Bank of Italy and Bank of Italy
Downloads 0 (361,234)

Abstract:

surprises, forecaster heterogeneity, foreign exchange, long-term interest rates, unconventional monetary policy